Help me understand Time and Sales and large orders

Quote from IronFist:

So I'm watching index futures.

Don't institutions pretty much run everything? Why would price continue to rise when massive sell orders are coming in?

I see the opposite with buy orders and falling prices.

I would naturally assume that lots and/or large sell orders would support a down trend and vice versa.

What am I missing here?
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Program buyers are buying the cash market and selllng the premium in the futures all the way up. It's called stock-index arb.

Corporate treasuries will often deploy a percentage of their cash flow in this manner because it is a "hedged" strategy with a specific rate of return.
 
Quote from Landis82:

Program buyers are buying the cash market and selllng the premium in the futures all the way up. It's called stock-index arb.
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FWIW, that form of cash-future arbitrage is essentially extinct.
 
Quote from xxxskier:

don't assume that a tranasaction at the ask is a buy and the bid a sell. that's an erroneous assumption.

large orders can and often do get excuted using a variety of transactions. a large transaction at the bid could be a limit buy (along with some at ask) . ..and a large transaction at the ask could be a sell limit (again, it can often come with bid activity as well).

if it was that easy it wouldn't work.


its better to watch for the action on price casued by a given amount of order flow for clues to who's currently in charge, rather then watch "green" and "red" order flow.
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I thought it was that simple with an electronic order book market like the eminis, where you don't have a specialist or block trades or anything like that to complicate things. Unless a stale quote is getting picked off, a trade at the bid means somebody is paying the spread to sell and vice versa. What am I missing?

I am not implying knowing that is enough to trade on, but I think it is enough to figure out which side is paying for liquidity at the moment.

I also just replied because of your handle - let it snow!
 
Quote from Syprik:

FWIW, that form of cash-future arbitrage is essentially extinct.
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How do you know that? Cash and futures still move in unisson...
 
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